Mohlo by se vám také líbit

Více informací o knize Controlled Markov Processes and Viscosity Solutions

• Parametry knihy
• Anotace
• Oblíbené z jiného soudku

Nákupem získáte 400 bodů

Anotace knihy

This book is intended as an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions. The authors approach stochastic control problems by the method of dynamic programming. The text provides an introduction to dynamic programming for deterministic optimal control problems, as well as to the corresponding theory of viscosity solutions. A new Chapter X gives an introduction to the role of stochastic optimal control in portfolio optimization and in pricing derivatives in incomplete markets. Chapter VI of the First Edition has been completely rewritten, to emphasize the relationships between logarithmic transformations and risk sensitivity. A new Chapter XI gives a concise introduction to two-controller, zero-sum differential games. Also covered are controlled Markov diffusions and viscosity solutions of Hamilton-Jacobi-Bellman equations. The authors have tried, through illustrative examples and selective material, to connect stochastic control theory with other mathematical areas (e.g. large deviations theory) and with applications to engineering, physics, management, and finance. In this Second Edition, new material on applications to mathematical finance has been added. Concise introductions to risk-sensitive control theory, nonlinear H-infinity control and differential games are also included.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Probability & statistics

• Plný název: Controlled Markov Processes and Viscosity Solutions
• Autor: Wendell H. Fleming, H. Mete Soner
• Jazyk: Angličtina
• Vazba: Pevná
• Počet stran: 429
• EAN: 9780387260457
• ISBN: 0387260455
• ID: 01381364
• Nakladatelství: Springer-Verlag New York Inc.
• Hmotnost: 834 g
• Rozměry: 166 × 304 × 33 mm
• Datum vydání: 17. November 2005

Oblíbené z jiného soudku

---

---

---